@Stuff of Legend
Yokomo DCJ are built nicely as they have a windows to allow for cleaning where as some of the other brands are fully enclosed and get gritty. Personally I like to used the Spec R brand universals on the rear as they have a flat band around the unit to hold the pin in where as many other brands use a wire. Just a personal preference, so take that as advice not a suggestion.
3mm shims in 0.1, 0.2, 0.3 thicknesses are your friend.
They don't have to be yokomo.
Shimming the steering can help with some of that sloppy movement. Slop is good in moderation. Too much and things will break/wear and the car will handle funny, while too little and things may bind up. My spur and pulley gears has slop due to the brand spur because with certain components and shims in place, the unit was seizing up and locking the car.
Like what RedBull mentioned, the diff is pre built, but you should look into pulling it apart and sanding down the gears' back facings to help reduce resistance. When you open your diff you'll see all your components inside. Pulling off the large gear (easiest to look at) and you'll notice on the back there are two dimples from the mould injections. What I do is lightly rub these marks off with some wet and dry (800grit) set flat on a ceramic tile. Do this for all the gears and then get a really fine rat tail file and rub the inside of the centre holes just to take off any small imperfections that you may not see. The diff should go together nicely and contain very little resistance when in use.
Theres a video here to help show what I mean: Pro Tips 2011 with Jilles Groskamp - Part 3 of 3:
http://youtu.be/m_DhcfcO8dI